You can do numerical integration and a 3D plot like:
Plot3D[NIntegrate[Abs[x - z]^(-1 - 2 a), {z, -Infinity, -1}] +
NIntegrate[Abs[x - z]^(-1 - 2 a), {z, 1, Infinity}], {x, -1, 1}, {a,0,1}]
a 1-d plot could look like
Plot[Evaluate[
Table[((1 - x)^(-2*a) + (1 + x)^(-2*a))/(2*a), {a, 0.1, 1, 0.2}]],
{x, -1, 1}]